no, they don't mean that.
If for example, you have Nero, and you select to burn an Audio CD, it allows you to drag MP3 files onto the CD template to be burnt.
In the burning process, these MP3 files are then converted to CDA automatically to be played in a stereo system.
So i think you are getting confused with writing a Data CD, and an Audio CD.
A Data CD would just copy the MP3 tracks as they are, and won't play on a standard CD player but might play on a DVD player if it has an MP3 function, and for instance, some show JPEG images from Data Discs.
So any CD burner application like Nero will allow yiou to select the sort of disc you'd like to burn, so you can choose the right one for what you want to do.
I hope this helps